Trend-Following Backtester · Guide · backtest 한국어
etf · US
BlackRock Multi-Sector Income Trust backtest
10 trend-following strategies were compared on the full daily history of BlackRock Multi-Sector Income Trust. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.1%, MDD -1.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.6%, drawdown -53.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.3%, MDD -3.5%, Sharpe 0.38, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 49.8%p (CAGR -0.1%, MDD -1.6%, exposure 0%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=4, threshold=0.06 |
1.3% | -3.5% | 0.38 | 0.37 | 1.2x | 8 | 0% |
| Supertrend period=29, mult=5 |
0.9% | -20.1% | 0.15 | 0.04 | 1.1x | 36 | 46% |
| 볼린저 밴드 돌파 n=85, k=2.9 |
0.2% | -6.6% | 0.09 | 0.03 | 1.0x | 4 | 6% |
| Donchian 채널 돌파 entryN=103, exitN=49 |
0.1% | -14.3% | 0.05 | 0.01 | 1.0x | 16 | 30% |
| SMA 크로스오버 fast=22, slow=91 |
0.1% | -30.7% | 0.05 | 0.00 | 1.0x | 38 | 47% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=24, mult=3.9 |
0.1% | -14.7% | 0.05 | 0.01 | 1.0x | 16 | 14% |
| EMA 크로스오버 fast=18, slow=113 |
-0.4% | -30.1% | -0.03 | -0.01 | 0.9x | 30 | 44% |
| ADX / DI 방향성 period=25, threshold=32 |
-0.1% | -1.6% | -0.26 | -0.07 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-5.0% | -50.1% | -0.57 | -0.10 | 0.5x | 178 | 53% |
| MACD fast=17, slow=62, signal=23 |
-6.2% | -58.0% | -0.78 | -0.11 | 0.4x | 138 | 49% |
| Buy and hold | -3.6% | -53.3% | -0.17 | -0.07 | 0.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 4-day return is greater than 6%
- Sell — Sell when the 4-day return drops to 6% or below